Where are my photos...???

Hi all...
I bought the Motorola E398 last week ...great phone by the way ! I have had it unlocked so i can use my Orange sim card and all is well except today a friend sent me some photos ...I recieved the message ok which said I had recived a photo and when I read the message it told me the size etc of the photo .... but when I selected download it said on screen " unable to download...try later...." ........ but then it was gone from the message folder ! So my question is...Where are they and how do I
1) find them
2) download them to my phone
3) or is it because i am using a Orange Sim card in a T-Mobile phone ?
Any help would be great....
Thanks in advance..